Publication details

The role of ESG factor in stock clustering based on risk-return-liquidity dimensions

Authors

STANĚK GYÖNYÖR Lucie HORVÁTH Matúš STAŠEK Daniel STACHOŇ Martin

Year of publication 2025
Type Article in Periodical
Magazine / Source NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
MU Faculty or unit

Faculty of Economics and Administration

Citation
web https://doi.org/10.1016/j.najef.2024.102350
Doi http://dx.doi.org/10.1016/j.najef.2024.102350
Keywords ESG; Classification; Sustainability; SRI; Cluster analysis
Description ESG stocks exhibit discernible attributes that encompass both financial and non-financial considerations. Our study examines whether ESG stocks provide unique characteristics in terms of return, risk, and liquidity. We use a multivariate statistical approach to analyze the ESG ratings of S&P 1200 stocks from seven major data providers and their structural combinations. The findings indicate the absence of a general systematic effect over seven consecutive years. Still, unidimensional scores, particularly Governance, demonstrate greater significance compared to multidimensional indicators, suggesting the financial importance of core ESG information and its usefulness in financial decision-making. Besides, we discuss the effect of specific events and investors’ understanding of ESG scores’ representation. Although the article argues for a substantial overlap between traditional financial analysis and the core features of the Governance dimension, ESG may not emerge as a dominant factor in stock clustering and, thus, cannot be recognized as a separate sub-asset class indicator.
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